same for XHR

var req = new XMLHttpRequest
req.open("get","")
req.onload = () => console.log($$)
req.send()

Thank you!

I think that it works as intended. We inject CommandLineAPI during console evaluation only. All asynchronous callbacks doesn't have injected CommandLineAPI:
setTimeout(() => console.log($$), 0);
setTimeout("console.log($$)", 0);
Promise.then(() => console.log($$));
You can store it to variable and pass it to callback manually:
let selector = $$;
setTimeout(() => console.log(selector));